Choosing a video file format when rendering doesn't work
My other answer explains how to render a video (with Sound) in general. You need to make sure in your case that in your Properties Editor > Render tab in the Output Panel your filename is set properly. Most likely it is set to something like file.dvd right now which results in your described behaviour. Change it to //file.mp4 (to get it rendered out next to your blend-file) for example: